Mystery Men(1999) [Dr. Annabel Leek]: Presumably killed in an explosion when Geoffrey Rush's castle is blown up. (Lena's character actually disappears about halfway through the movie, and is not even referred to again, so it's unconfirmed whether she was still in the castle. The comic-book adaptation included a scene where Geoffrey's character throws her out of a window, but no such scene is present in the actual movie or in the DVD's deleted scenes.) (Thanks to Jenn)

The Ninth Gate (1999) [Liana Telfer]: Strangled by Frank Langella using her own necklace (also causing her pentagram medallion to stab into her throat).

Darkness(2002) [Maria]: Killed (off-screen) by demons (disguised as Anna Paquin and Stephan Enquist) after they trick her into turning off the stove's gas burner, plunging the room into darkness. We only hear her scream as the room goes dark. (Thanks to Alex and Laurence)

Queen of the Damned (2002) [Maharet]: Turns into a stone statue after draining Aaliyah's blood and "taking on her death." From what I could figure out of this movie's "rules" of vampirism (based on other characters' remarks), Lena's fate appears to be a form of suspended animation rather than an actual death, but I thought I should list it just in case. (The character survives in the original novel.)

Alias: Search and Rescue(2005) [Irina Derevko]: Playing a dual role as both her regular "Irina" character and an impostor, the duplicate is shot in the head by Victor Garber. (Thanks to Nemanja and PortsGuy)

Awake(2007) [Lilith Beresford]: Commits suicide by taking an overdose of medication in the hospital, so that her heart can be donated to her son (Hayden Christensen); she also appears as a spirit to Hayden during his near-death experience.

The Reader(2008) [Rose Mather/Ilana Mather]: Playing a dual role as mother and daughter, the mother "Rose" dies (off-screen) under unspecified circumstances during the passage of time between scenes; we learn of her death when the daughter "Ilana" informs Ralph Fiennes.